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Pareto: The Pareto, Piecewise Pareto and Generalized Pareto Distribution
Utilities for the Pareto, piecewise Pareto and generalized Pareto distribution that are useful for reinsurance pricing. In particular, the package provides a non-trivial algorithm that can be used to match the expected losses of a tower of reinsurance layers with a layer-independent collective risk model. The theoretical background of the matching algorithm and most other methods are described in Ulrich Riegel (2018) <doi:10.1007/s13385-018-0177-3>.
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Package details |
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| Author | Ulrich Riegel [aut, cre] |
| Maintainer | Ulrich Riegel <ulrich.riegel@gmx.de> |
| License | GPL (>= 2) |
| Version | 2.4.5 |
| URL | https://github.com/ulrichriegel/Pareto#pareto |
| Package repository | View on CRAN |
| Installation |
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